Resarch On The Relationship Between The Change Of Fair Value And Stock Market Overreacton

The new "enietprise accounting standards" for enterprises annorunced by the Ministry of Finance in February 15. 2006, it sytematically and arefully inufoducod the fair vslue measurement model, and requires isted companies to incrase the applicalion of fair value measurment in the financial report. It has a profound impact on the capital market and accounting profession. Howewer, due to the outbreak of the financinl crisis and the global economic crisis at the end of 2007, the fair value, the econometric model of the asscts and liabilities, is elevated to the height of the national macro financial stabilty by regulatory bodies and relevant international organizations. and had a fierce debate.The core of the argument is whether the fair value unnecessarily enlarged asset price voatility reaction of financial institutions and exaggerates the individual risk of financial enterprises. Although the discussion is very warm, but there is not much empirical research0 The discussion of this issue is helpful for the reguhdory authorities to fully understand the economic consequences of fair value on the financial market, so as to adjust the regulatory policies in time and mainus financlal stability.Therefore, in this paper, it is essary to study value relevance of fair value informationandthe and the relationship between the fair value and the stock narket overreation to theory and practice.This paper takes the specific sundards of fair value as the theoretical basis, through the Wind information platform and CSMAR database to collect the reqund data, and carry out event study to the day Of earnings announcement by using the stock normal return model. And combined with Stata and Evikws as data processing tool, investete the correlation between whether there is certain value relevance of the informetion related to fair value of Lisie Companies in China,and the information related to the fair value of Listed Companies in China the company has a certain, value and the correlation between the fair value and the stock market overreaction. Specific research ideas are: First of through the analysis of the three main theories: the wave effect, the cycle effect and the cross shareholding, explore the internal relations between the fair value and the stock market overreaction; secondly,combined with our accounting system background and the conclusion of the domestic and foreign scholars,in this paper, we construct the model for the research questions and put forward the research hypothesis, and verify the hypothesis by empirical research and case study;Finally, the paper draws the conclusion and gives some policy suggestions, and points out the limitations of this study and points out the direction of further research. The whole research process combines normative research, empirical research and case study, and forms a systematic study on the internal relationship between the fair value and the stock market overreaction from the overall to the focus, from the macro to the micro.This paper selects 80 listed companies of the CSI 300 index in the first quarter of 2009 to the second quarter of the year of 2016 as the sample to conduct empirical research, and selects two listed companies to conduct case studies. The results show that: (1) For the full sample,the stock market has made the overreaction to the fair value accounting information, this shows that investors and other users of accounting information can respond quickly to market information, but it can not accurately detect and absorb the information contained in the fair value measurement,therefore appeared stock market overreaction. (2) the overreaction of the stock market in financial industry is higher than full sample the stock market. There is no significant correlation between the fair value gains and losses of real estate, industry, public utilities, comprehensive classes and commercial banks and stock market overreaction. (3) the stock market can react to the changes in fair value for both the full sample and the sample.However, the response of the stock market to the accounting information of fair value in the event window is less than that in the estimation window. (4)The market reaction caused by fair value in the upper market is significantly greater than the stock market overreaction in the down market. (5) The use of fair value measurement of financial enterprises is mainly concentrated in the trading of financial assets, held to maturity investments and available for sale financial assets, etc.. The use of fair value measurement in the majority of Listed Companies in non-financial sectors is concentrated in long-term equity investment, investment real estate, financial derivatives, financial assets available for sale,etc.. This paper verifies the existence of fair value as the role of "accounting accelerator",which helps to understand the impact of fair value measurement model on China’s financial stability.